Reference Point Small Cap Strategy Index

Approach:

The index provides access to an equity market strategy that seeks avoid large drawdowns and generate rates of return in excess of the Russell 2000 Index over a market cycle. This strategy is designed to be a core equity holding.

The strategy applies a quantitative investment system that uses multiple data sets and algorithms to capture key turning points in the direction of the U.S. equity small cap market over different return horizons. The strategy will hold the iShares Russell 2000 ETF when models forecast positive rates of return for U.S. equity small cap market and hold cash when models forecast negative U.S. equity small cap market rates of return.

While the strategy is indexed, we consider it active and will add new algorithms and change existing algorithms when new anomalies are discovered.

Performance:

Index Administrator:

Factsheet:

Contact Information:

 

Rod Jones

Phone: 646-960-6402

Email: rlj23@gstcap.com

The index was back-tested from December 29, 2000 to July 31, 2020.  The index is live as of August 1, 2020.  

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